This diploma thesis is focused on teoretical and practial aspects in the creation of trading strategie on FOREX market. The thesis include indicator and strategy that are build for tradning with EUR/USD currency. The designed strategy is developed in MetaTrader enviroment in MetaQuotes programming language. Indicator is optimalized on historical dates and choose settings for indicator to profit.

This Master’s thesis deals with implementation of an automated trading system for application in the currency market. The resulted system is tested and optimized on historical data. Robustness of this strategy is verified by testing on another currency pair and a different timeframe. Efficiency of the system is compared before and after optimization. Created trading system is profitable in all environments which it was tested on.

The master’s thesis deals with trading the currency market. The aim of thesis is the creation of an automated trading system based on technical analysis. This thesis is divided into several parts. The theoretical aspects and analysis of current situation are followed by automated trading system proposal. The system is designed on basis of technical indicators and tested on historical data and then optimized.

Les marchés financiers sont sujets quotidiennement à la diffusion de statistiques économiques ainsi que leurs prévisions par des institutions publiques et privées. Ces annonces sont prévues ou non prévues. Les annonces prévues sont organisées selon un calendrier connu à l’avance par tous les opérateurs. Ces annonces telles que les statistiques d'activité, d’exportation ou de sentiments, sont publiées une fois par mois par des agences spécialisées telles que Bloomberg. La diffusion d’une statistique économique ou financière est toujours précédée par la publication de sa prévision calculée comme la médiane de toutes les prévisions individuelles fournies par les agents. Cette médiane est un proxy de la vision commune des opérateurs et aide à la construction d'une représentation collective de l'environnement économique. Le premier chapitre de ma thèse a pour objectif d'analyser l'hétérogénéité dans la prévision des annonces macroéconomiques est testée grâce à des données mensuelles de prévisions issues d'enquêtes conduites par Bloomberg, sur une série d'indicateurs macroéconomiques. S’ensuit alors une deuxième problématique. Quels sont aux yeux des investisseurs, les critères qui permettent de considérer qu’une annonce est plus importante qu’une autre ? L’analyse du processus par lequel une information est incorporée dans les cours, nous a éclairés sur l’existence d’une forte rotation dans les statistiques considérées comme importantes (Market Mover indicators). Le deuxième chapitre tente donc de répondre à cette problématique. Dans un dernier chapitre je m’interroge sur la dynamique des prix post-publications d’annonces macroéconomiques et financières. Des connections sont réalisées entre les Jumps sur les cours des actifs et les annonces macroéconomiques, financières mais aussi imprévues. / Financial markets are subjected daily to the diffusion of economic indicators and their forecasts by public institutions and even private ones. These annoncements can be scheduled or unscheduled. The scheduled announcements are organized according to a specific calendar and known in advance by all operators. These news such as activity indicators, credit, export or sentiments’ surveys, are published monthly or quarterly by specialized agencies to all operators in real time. Our thesis contributes to diferent literatures and aims to thoroughly analyze the three phases of the diffusion process of new information on financial markets : anticipation of the announcement before its publication, interest that arouse its publication and impact of its publication on market dynamics. The aim of the first chapter is to investigate heterogeneity in macroeconomic news forecasts using disaggregate data of monthly expectation surveys conducted by Bloomberg on macroeconomic indicators from January 1999 to February 2013. The second chapter examines the impact of surprises associated with monthly macroeconomic news releases on Treasury-bond returns, by paying particular attention to the moment at which the information is published in the month. In the third chapter we examine the intraday effects of surprises from scheduled and unscheduled announcements on six major exchange rate returns (jumps) using an extension of the standard Tobit model with heteroskedastic and asymmetric errors.

This dissertation thesis consists of three essays on new EU foreign exchange markets (FX), i.e. the Czech koruna, Polish zloty and Hungarian forint. In the first two essays, the impact of foreign macroeconomic news announcements and central banks' monetary policy settings on the value and volatility of examined exchange rates is analyzed. In the third chapter, the conditional comovements and volatility spillovers on new EU FX markets is examined. The aim of this thesis is to contribute to the existing empirical literature by providing new evidence of the examined currencies during periods, which have not been examined yet (after the Global financial crisis (GFC), during the EU debt crisis and during currency interventions in the Czech Republic). The first essay (Chapter 2) examines the impact of Eurozone/Germany and US macroeconomic news announcements and monetary policy settings of the ECB and the Fed on the value of new EU member states' currencies. It is a complex analysis of 1-minute intraday dataset performed by event study methodology (ESM). We observe different reactions of exchange rates in pair with the US dollar on the US macroeconomic announcements and Euro-expressed FX rates on Germany macro news during the EU debt crisis and after it. We also provide evidence of leaking news, showing...